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HEDGING
Example 3 - VARIABLE RATE LOAN WITH INTEREST RATE SWAP
COMMENT
• The fair value of the interest rate swap before settlement
swap includes the accrued interest on the swap. This
means that this fair value reflects the potential profits
before actual settlement of the net interest has taken
place.
• The net interest was settled on 30 September 20.13 and
31 March 20.14. The fair value of the interest rate swap
on these dates should therefore reflect the value after
settlement of the net interest. For this reason the net
interest included in the fair value of R56 685 (30
September 20.13) and R32 515 (31 March 20.14) is
excluded when determining the fair value of the interest
rate swap.
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